DBRS Maintains Class C Notes by Goldfish Master Issuer B.V. Under Review with Negative Implications

DBRS Ratings Limited (DBRS) maintained the Under Review with Negative Implications (UR-Neg.) status on the A (high) (sf) ratings on the Series 2010-1, Class C Notes and the Series 2013-2, Class C Notes (together, the Class C Notes) issued by Goldfish Master Issuer B.V. (the Issuer).

Goldfish Master Trust B.V. is a EUR 25 billion, fully revolving continuous-issuance programme established in May 2007. It is backed by prime Dutch mortgage loans originated by subsidiaries of ABN AMRO Bank N.V. (ABN AMRO) that benefit from a Nationale Hypotheek Garantie. As of 30 May 2017, the outstanding balance of the collateralised notes was EUR 6.635 billion.

The credit support to the Class C Notes comprises of excess spread only.

The Class C Notes were placed UR-Neg. on 20 July 2017 following the completion of an annual review cycle of the transaction and the revised publication of DBRS’s “European RMBS Insight: Dutch Addendum”. For information on this rating action, please refer to http://www.dbrs.com/research/313523/dbrs-takes-rating-actions-on-notes-issued-by-goldfish-master-issuer-b-v.html.

Under the methodology’s new criteria, the stresses at various rating scenarios for Dutch mortgages are relatively higher than those under DBRS’s earlier RMBS criteria (i.e., the old criteria, which are no longer applicable). The key drivers for higher mortgage losses are additional probability of default (PD) adjustments to loans based on the following loan features, which were not material risk drivers in the old criteria:

-- Interest rate reset interval for loans;
-- Interest rate margin for loans;
-- Multiple loan parts;
-- Repayment loans; and
-- Life insurance mortgage loans.

Additionally, under the new criteria, DBRS indexes the valuation of properties and applies market value decline assumptions per region in the Netherlands. The new criteria also includes a distressed sale discount of 20% on property values to arrive at recoveries from the sale of properties. In the old criteria, DBRS did not give any credit to house price movements when evaluating the potential recoveries from the sale of properties for defaulted loans. Instead, the market value declines under the old criteria were applied at the national level and there was no additional distressed sale discount applied to recoveries from the sale of properties.

The relatively higher degree of stresses applied in the cash flows analysis for the Class C Notes needs further evaluation and therefore DBRS maintained the UR-Neg. status on the Class C Notes. This is because the Class C Notes currently do not have any credit support in the form of subordination and depend only on possible excess spread in the transaction structure. Ratings that are UR-Neg. may either be downgraded or confirmed.

ABN AMRO is the Account Bank for this transaction. The Account Bank reference rating of AA (low), which is one notch below the DBRS Long-Term Critical Obligations Rating (COR) of ABN AMRO at AA, complies with the Minimum Institution Rating, given the rating assigned to the Class C Notes as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

ABN AMRO is the Swap Counterparty for this transaction. The DBRS Long-Term COR of ABN AMRO at AA complies with the First Rating Threshold defined in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable to the rating are: European RMBS Insight Methodology, European RMBS Insight: Dutch Addendum and Master European Structured Finance Surveillance Methodology.

DBRS is undertaking a review and will remove the rating from this status as soon as it is appropriate.

Other methodologies referenced in this transaction are listed at the end of this press release.

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of data and information used for this rating include investor reports and servicer reports provided by ABN AMRO Bank N.V.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 20 July 2017, when DBRS confirmed the ratings on the Class A and Class B notes and placed the ratings on the Class C notes Under Review with Negative Implications.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

The ratings are Under Review with Negative Implications. DBRS will continue to its analysis of the transaction to resolve the UR-Neg. accordingly, normally within 90 days from the date of this rating action. As this is an Under Review Rating Action, sensitivity analysis is not applicable.

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“ESMA”) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml

Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.

Lead Analyst: Rehanna Sameja, Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 28 June 2010

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- European RMBS Insight Methodology
-- European RMBS Insight: Dutch Addendum
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Unified Interest Rate Model for European Securitisations

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375